An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks

Abstract

We generalise the impulse response function of Elder (2003) by considering indirect volatility spillovers for a VAR model with multivariate GARCH-in-Mean. The extension is relevant for variables that exhibit direct and indirect volatility spillovers (Tsiaplias and Chua, inpress). © 2012 Elsevier B.V.